Fabio Fornari

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

20

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4,777

SSRN CITATIONS
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Top 9,312

in Total Papers Citations

61

CROSSREF CITATIONS

111

Scholarly Papers (20)

1.

Financial Volatility and Economic Activity

Number of pages: 54 Posted: 07 Nov 2009
Fabio Fornari and Antonio Mele
European Central Bank (ECB) and University of Lugano
Downloads 1,034 (39,568)
Citation 23

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2.

Climate Change and Monetary Policy in the Euro Area

ECB Occasional Paper No. 2021/271
Number of pages: 193 Posted: 23 Sep 2021 Last Revised: 12 Jan 2022
European Central Bank (ECB), Frankfurt School of Finance & Management, European Central Bank (ECB), Bank of France, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), Bank of Italy, European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) - Directorate General International and European Relations, Central Bank of Cyprus, European Central Bank (ECB), Bank of Greece - Economic Research Department, De Nederlandsche Bank, Goethe University Frankfurt, European Central Bank (ECB), University of Bonn, European Central Bank (ECB), European Central Bank (ECB), European Central Bank, Central Bank of Ireland, Central Bank of Ireland, Suomen Panki, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Central Bank of Cyprus, European Central Bank (ECB), European Central Bank (ECB), Banco de España, Banco de España, Latvijas Banka, Banque Centrale du Luxembourg, European Central Bank (ECB), European Central Bank (ECB), National Bank of Belgium, European Central Bank (ECB), University of Edinburgh Business School, Deutsche Bundesbank, Central Bank of Ireland, Deutsche Bundesbank, National and Kapodistrian University of Athens, De Nederlandsche Bank, Bank of Greece, Deutsche Bundesbank, European Central Bank (ECB) and Banque de France
Downloads 905 (47,647)
Citation 4

Abstract:

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climate change, environmental economics, green finance, monetary policy, sustainable growth economics

3.

The Size of the Equity Premium

Number of pages: 43 Posted: 12 Feb 2002
Fabio Fornari
European Central Bank (ECB)
Downloads 417 (127,318)
Citation 3

Abstract:

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Risk premium, factor-garch, asset pricing

4.
Downloads 326 (167,340)
Citation 29

Macroeconomic Determinants of Carry Trade Activity

Number of pages: 42 Posted: 22 Nov 2010
Fabio Fornari and Alessio Anzuini
European Central Bank (ECB) and Bank of Italy
Downloads 246 (222,262)
Citation 12

Abstract:

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Carry Trade, Speculative Activity, Sign Restriction

Macroeconomic Determinants of Carry Trade Activity

Bank of Italy Temi di Discussione (Working Paper) No. 817
Number of pages: 52 Posted: 17 Nov 2011
Alessio Anzuini and Fabio Fornari
Bank of Italy and European Central Bank (ECB)
Downloads 80 (551,547)
Citation 17

Abstract:

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carry trade, speculative activity, sign restriction

5.

Predicting Recession Probabilities with Financial Variables Over Multiple Horizons

ECB Working Paper No. 1255
Number of pages: 62 Posted: 17 Oct 2010
Fabio Fornari and Wolfgang Lemke
European Central Bank (ECB) and European Central Bank
Downloads 321 (170,110)
Citation 12

Abstract:

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Recessions, forecasting, probit, VAR

6.

The Probability Density Function of Interest Rates Implied in the Price of Options

Bank of Italy Economic Research Paper No. 339
Number of pages: 44 Posted: 04 May 2006
Fabio Fornari and Roberto Violi
European Central Bank (ECB) and Bank of Italy
Downloads 279 (196,924)
Citation 46

Abstract:

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Option Pricing, risk-neutral probability density function, interest rate, risk reversal, monetary policy

7.

Compensation for Volatility Risk in Interest Rate Derivatives

Number of pages: 51 Posted: 27 Jan 2007
Fabio Fornari
European Central Bank (ECB)
Downloads 166 (320,383)
Citation 3

Abstract:

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Volatility risk premium, risk aversion, economic surprises

8.

Continuous Time Garch-Based Modeling and Filtering: Evidence from a Short-Term Rate Process

Number of pages: 47 Posted: 12 Feb 2002
Fabio Fornari and Antonio Mele
European Central Bank (ECB) and University of Lugano
Downloads 161 (328,924)

Abstract:

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Stochastic volatility, Arch filtering, indirect inference

9.

Does Business Cycle Risk Account for Systematic Returns from Currency Positioning? The International Perspective

Number of pages: 39 Posted: 05 Jun 2008
Roberto A. De Santis and Fabio Fornari
European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Downloads 145 (358,580)
Citation 9

Abstract:

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Asset Pricing, Consumption Risk, UIP

10.

Approximating Volatility Diffusions with Cev-Arch Models

Number of pages: 41 Posted: 29 Jan 2004
Fabio Fornari and Antonio Mele
European Central Bank (ECB) and University of Lugano
Downloads 130 (390,455)
Citation 1

Abstract:

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Stochastic volatility, Arch filtering, indirect inference

11.

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

ECB Working Paper No. 859
Number of pages: 59 Posted: 01 Feb 2008
Fabio Fornari
European Central Bank (ECB)
Downloads 125 (402,438)
Citation 1

Abstract:

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Volatility risk premium, risk aversion, economic surprises

12.

What Does a Financial Shock Do? First International Evidence

ECB Working Paper No. 1522
Number of pages: 42 Posted: 06 Mar 2013
Fabio Fornari and Livio Stracca
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 118 (420,141)
Citation 8

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financial shocks, VAR, identification, stochastic pooling, leverage, credit

13.

The Role of Financial Variables in Predicting Economic Activity

ECB Working Paper No. 1108
Number of pages: 50 Posted: 25 Nov 2009
International Monetary Fund (IMF), European Central Bank (ECB) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 118 (420,141)
Citation 6

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VAR, Financial Variables, International Linkages, Conditional Forecast

14.

The Role of Financial Variables in Predicting Economic Activity in the Euro Area

IMF Working Paper No. 09/241
Number of pages: 36 Posted: 10 Nov 2009
International Monetary Fund (IMF), European Central Bank (ECB) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 114 (430,941)
Citation 3

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Asset prices, Business cycles, Cross country analysis, Economic forecasting, Economic growth, Economic models, Euro Area, Financial crisis, Financial sector, Global Financial Crisis 2008-2009, Stock markets

15.

The Rise and Fall of US Dollar Interest Rate Volatility: Evidence from Swaptions

BIS Quarterly Review, September 2005
Number of pages: 12 Posted: 27 May 2012 Last Revised: 29 Sep 2013
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 109 (445,437)

Abstract:

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16.

Macroeconomic Announcements and Implied Volatilities in Swaption Markets

BIS Quarterly Review, September 2004
Number of pages: 8 Posted: 13 May 2012 Last Revised: 29 Sep 2013
Fabio Fornari
European Central Bank (ECB)
Downloads 96 (486,904)
Citation 1

Abstract:

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17.

Stock Market Firm-Level Information and Real Economic Activity

ECB Working Paper No. 1366
Number of pages: 38 Posted: 15 Aug 2011
Filippo di Mauro, Fabio Fornari and Dario Mannucci
European Central Bank (ECB), European Central Bank (ECB) and Prometeia
Downloads 69 (592,222)

Abstract:

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business cycle forecasting, granular shock, international linkages

Chronicle of a Death Foretold: Does Higher Volatility Anticipate Corporate Default?

ECB Working Paper No. 2022/2749
Posted: 16 Nov 2022
Miguel Ampudia, Filippo Busetto and Fabio Fornari
European Central Bank (ECB) - Directorate General Research, Bank of England - Monetary Analysis and European Central Bank (ECB)
Downloads 38 (792,769)

Abstract:

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default probability, distance to insolvency, equity volatility, expected default frequency

Chronicle of a death foretold: does higher volatility anticipate corporate default?

Bank of England Working Paper No. 1001
Number of pages: 35 Posted: 24 Jan 2023
Miguel Ampudia, Filippo Busetto and Fabio Fornari
European Central Bank (ECB) - Directorate General Research, Bank of England - Monetary Analysis and European Central Bank (ECB)
Downloads 27 (886,068)

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Default probability, equity volatility, Distance to Insolvency, Expected Default Frequency

19.

It’s Not Time To Make a Change: Sovereign Fragility and the Corporate Credit Risk

CFS Working Paper, No. 652, 2020
Number of pages: 45 Posted: 28 Feb 2021
Fabio Fornari and Andrea Zaghini
European Central Bank (ECB) and Bank of Italy
Downloads 44 (730,220)

Abstract:

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sovereign rating, corporate credit risk, CDS spreads

20.

It's Not Time to Make a Change: Sovereign Fragility and the Corporate Credit Risk

ECB Working Paper No. 2022/2740
Number of pages: 48 Posted: 11 Oct 2022
Fabio Fornari and Andrea Zaghini
European Central Bank (ECB) and Bank of Italy
Downloads 35 (794,437)

Abstract:

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credit default swaps, credit rating, sovereign risk spillover